<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended March 31, 2000
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 0-18418
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3533120
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last
report.
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes CK No __
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
March 31, December 31,
2000 1999
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash $ 4,104,230 $ 4,573,677
U.S. Treasury bills, at amortized cost 13,700,003 14,715,473
Net unrealized gain on open futures and options contracts 487,102 582,280
Net premium paid on options -- 83,238
------------- ------------
Total assets $18,291,335 $19,954,668
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 2,075,563 $ 935,402
Net unrealized loss on open forward contracts 168,712 59,834
Accrued expenses payable 46,025 60,689
Management fees payable 31,872 34,924
Due to affiliates 26,812 40,762
Net premium received on options 11,303 --
------------- ------------
Total liabilities 2,360,287 1,131,611
------------- ------------
Commitments
Partners' capital
Limited partners (72,316 and 81,738 units outstanding) 15,771,620 18,634,742
General partner (731 and 826 units outstanding) 159,428 188,315
------------- ------------
Total partners' capital 15,931,048 18,823,057
------------- ------------
Total liabilities and partners' capital $18,291,335 $19,954,668
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 218.09 $ 227.98
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Three Months
Ended March 31,
-------------------------
2000 1999
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $(290,396) $ 598,535
Change in net unrealized gain/loss on open commodity positions (204,056) (389,639)
Interest from U.S. Treasury bills 181,473 196,508
--------- -----------
(312,979) 405,404
--------- -----------
EXPENSES
Commissions 372,819 476,607
Management fees 97,265 126,950
Incentive fees -- 24,513
General and administrative 33,383 38,729
--------- -----------
503,467 666,799
--------- -----------
Net loss $(816,446) $ (261,395)
--------- -----------
--------- -----------
ALLOCATION OF NET LOSS
Limited partners $(808,278) $ (258,781)
--------- -----------
--------- -----------
General partner $ (8,168) $ (2,614)
--------- -----------
--------- -----------
NET LOSS PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average
limited and general partnership unit $ (9.89) $ (2.61)
--------- -----------
--------- -----------
Weighted average number of limited
and general partnership units outstanding 82,564 99,989
--------- -----------
--------- -----------
- ---------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1999 82,564 $18,634,742 $ 188,315 $18,823,057
Net loss -- (808,278) (8,168) (816,446)
Redemptions (9,517) (2,054,844) (20,719) (2,075,563)
-------- ----------- --------- -----------
Partners' capital--March 31, 2000 73,047 $15,771,620 $ 159,428 $15,931,048
-------- ----------- --------- -----------
-------- ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'General Partner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to present fairly the financial position of
Prudential-Bache Capital Return Futures Fund 2, L.P. (the 'Partnership') as of
March 31, 2000 and the results of its operations for the three months ended
March 31, 2000 and 1999. However, the operating results for the interim periods
may not be indicative of the results expected for a full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Partnership's Annual Report on Form 10-K filed with the Securities and
Exchange Commission for the year ended December 31, 1999.
B. Related Parties
The General Partner of the Partnership is a wholly owned subsidiary of
Prudential Securities Incorporated ('PSI'). The General Partner and its
affiliates perform services for the Partnership which include, but are not
limited to: brokerage services; accounting and financial management; registrar,
transfer and assignment functions; investor communications, printing and other
administrative services.
The costs incurred for these services for the three months ended March 31,
2000 and 1999 were:
<TABLE>
<CAPTION>
2000 1999
<S> <C> <C>
- -----------------------------------------------------------------------
Commissions $372,819 $476,607
General and administrative 17,319 17,955
-------- --------
$390,138 $494,562
-------- --------
-------- --------
</TABLE>
The Partnership's assets are maintained either in trading or cash accounts
with PSI, the Partnership's commodity broker, or for margin purposes, with the
various exchanges on which the Partnership is permitted to trade.
The Partnership, acting through its trading managers, executes
over-the-counter, spot, forward and/or option foreign exchange transactions with
PSI. PSI then engages in back-to-back trading with an affiliate,
Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on
such transactions. PBGM keeps its prices on foreign currency competitive with
other interbank currency trading desks. All over-the-counter currency
transactions are conducted between PSI and the Partnership pursuant to a line of
credit. PSI may require that collateral be posted against the marked-to-market
position of the Partnership.
C. Derivative Instruments and Associated Risks
The Partnership is exposed to various types of risk associated with the
derivative instruments and related markets in which it invests. These risks
include, but are not limited to, risk of loss from fluctuations in the value of
derivative instruments held (market risk) and the inability of counterparties to
perform under the terms of the Partnership's investment activities (credit
risk).
Market risk
Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Partnership's net
assets being traded, significantly exceeds the Partnership's future cash
requirements since the Partnership intends to close out its open positions prior
to settlement. As a result, the Partnership is generally subject only to the
4
<PAGE>
risk of loss arising from the change in the value of the contracts. As such, the
Partnership considers the 'fair value' of its futures and forward contracts to
be the net unrealized gain or loss on the contracts. The market risk associated
with the Partnership's commitments to purchase commodities is limited to the
gross or face amount of the contracts held. However, when the Partnership enters
into a contractual commitment to sell commodities, it must make delivery of the
underlying commodity at the contract price and then repurchase the contract at
prevailing market prices. Since the repurchase price to which a commodity can
rise is unlimited, entering into commitments to sell commodities exposes the
Partnership to unlimited risk.
Trading in options involves the payment or receipt of a premium and the
corresponding right or obligation, as the case may be, to either purchase or
sell the underlying commodity for a specified price during a limited period of
time. Purchasing options involves the risk that the underlying commodity does
not change price as expected, so that the option expires worthless and the
premium is lost. On the other hand, selling options involves unlimited risk
because the Partnership is exposed to the potentially unlimited price movement
in the underlying commodity.
Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Partnership holds and the liquidity and
inherent volatility of the markets in which the Partnership trades.
Credit risk
When entering into futures, forward and options contracts, the Partnership is
exposed to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures and options contracts traded in the
United States and on most foreign futures and options exchanges is the
clearinghouse associated with such exchanges. In general, clearinghouses are
backed by the corporate members of the clearinghouse who are required to share
any financial burden resulting from the non-performance by one of its members
and, as such, should significantly reduce this credit risk. In cases where the
clearinghouse is not backed by the clearing members (i.e., some foreign
exchanges), it is normally backed by a consortium of banks or other financial
institutions. On the other hand, the sole counterparty to the Partnership's
forward transactions is PSI, the Partnership's commodity broker. The Partnership
has entered into a master netting agreement with PSI and, as a result, presents
unrealized gains and losses on open forward positions as a net amount in the
statements of financial condition. The amount at risk associated with
counterparty non-performance of all of the Partnership's contracts is the net
unrealized gain (plus premiums paid on options) included in the statements of
financial condition. There can be no assurance that any counterparty, clearing
member or clearinghouse will meet its obligations to the Partnership.
The General Partner attempts to minimize both credit and market risks by
requiring the Partnership and its trading managers to abide by various trading
limitations and policies. The General Partner monitors compliance with these
trading limitations and policies which include, but are not limited to:
executing and clearing all trades with creditworthy counterparties (currently,
PSI is the sole counterparty or broker), limiting the amount of margin or
premium required for any one commodity or all commodities combined and generally
limiting transactions to contracts which are traded in sufficient volume to
permit the taking and liquidating of positions. Additionally, pursuant to each
Advisory Agreement among the Partnership, the General Partner and each trading
manager, the General Partner shall automatically terminate a trading manager if
the net asset value allocated to the trading manager declines by 33 1/3% since
the commencement of its trading activities or from the value at the beginning of
any year (except for Welton Investment Corporation for which automatic
termination relates only to a decline from the commencement of trading
activities). Furthermore, the Amended and Restated Agreement of Limited
Partnership provides that the Partnership will liquidate its positions, and
eventually dissolve, if the Partnership experiences a decline in the net asset
value to less than 50% of the value at commencement of trading activities. In
each case, the decline in net asset value is after giving effect for
distributions and redemptions. The General Partner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the trading managers as it, in good faith, deems
to be in the best interest of the Partnership.
PSI, when acting as the Partnership's futures commission merchant in
accepting orders for the purchase or sale of domestic futures and options
contracts, is required by Commodity Futures Trading Commission ('CFTC')
regulations to separately account for and segregate as belonging to the
Partnership all assets of the Partnership relating to domestic futures and
options trading and is not to commingle such assets with
5
<PAGE>
other assets of PSI. At March 31, 2000, such segregated assets totalled
$14,734,470. Part 30.7 of the CFTC regulations also requires PSI to secure
assets of the Partnership related to foreign futures and options trading which
totalled $3,545,562 at March 31, 2000. There are no segregation requirements for
assets related to forward trading.
As of March 31, 2000, the Partnership's open futures, forward and options
contracts mature within one year.
At March 31, 2000 and December 31, 1999, the fair value of open futures,
forward and options contracts was:
<TABLE>
<CAPTION>
2000 1999
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $117,246 $ 412 $ 78,005 $ --
Stock indices 67,639 17,425 75,245 5,420
Currencies 289,672 22,193 76,089 30,830
Commodities 45,549 59,613 52,327 24,170
Foreign exchanges
Interest rates 186,185 54,440 116,588 1,038
Stock indicies 20,418 63,648 81,199 1,899
Commodities 75,866 84,874 168,686 26,889
Forward Contracts:
Currencies 165,158 333,870 14,912 74,746
Options Contracts:
Domestic exchanges
Interest rates -- 953 -- --
Stock indicies -- 9,625 95,700 --
Currencies -- 7,388 -- --
Commodities 15 6,220 13,050 1,125
-------- ----------- ---------- -----------
$967,748 $ 660,661 $ 771,801 $ 166,117
-------- ----------- ---------- -----------
-------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
(a limited partnership)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Partnership commenced trading operations on October 6, 1989 with gross
proceeds of $101,010,000. After accounting for organizational and offering
costs, the Partnership's net proceeds were $99,010,000.
At March 31, 2000, 100% of the Partnership's total net assets was allocated
to commodities trading. A significant portion of the net asset value was held in
U.S. Treasury bills (which represented approximately 76% of the net asset value
prior to redemptions payable) and cash, which are used as margin for the
Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership continues to own such
liquid assets to be used as margin.
The percentage that U.S. Treasury bills bears to the total net assets varies
each day, and from month to month, as the market values of commodity interests
change. The balance of the net assets is held in cash. All interest earned on
the Partnership's interest-bearing funds is paid to the Partnership.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Partnership from promptly liquidating its commodity
futures positions.
Since the Partnership's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The Partnership's exposure to market risk is
influenced by a number of factors including the volatility of interest rates and
foreign currency exchange rates, the liquidity of the markets in which the
contracts are traded and the relationships among the contracts held. The
inherent uncertainty of the Partnership's speculative trading as well as the
development of drastic market occurrences could result in monthly losses
considerably beyond the Partnership's experience to date and could ultimately
lead to a loss of all or substantially all of investors' capital. The general
partner attempts to minimize these risks by requiring the Partnership and its
trading managers to abide by various trading limitations and policies, which
include limiting margin amounts, trading only in liquid markets and utilizing
stop loss provisions. See Note C to the financial statements for a further
discussion on the credit and market risks associated with the Partnership's
futures, forward and options contracts.
Redemptions by limited partners and the general partner recorded for the
three months ended March 31, 2000 were $2,054,844 and $20,719, respectively, and
from commencement of operations, October 6, 1989, through March 31, 2000,
totalled $129,066,640 and $1,849,667, respectively. Future redemptions will
impact the amount of funds available for investment in commodity contracts in
subsequent periods.
The Partnership does not have, nor does it expect to have, any capital
assets.
Results of Operations
The net asset value per Unit as of March 31, 2000 was $218.09, a decrease of
4.34% from the December 31, 1999 net asset value per Unit of $227.98.
The Partnership had gross trading gains/(losses) of approximately $(494,000)
during the three months ended March 31, 2000 compared to $209,000 for the
corresponding period in the prior year. Due to the nature of the Partnership's
trading activities, a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of the Partnership's current quarter
trading results is presented below.
7
<PAGE>
Quarterly Market Overview
While the Y2K scare passed without incident, the new year brought renewed
volatility to the world's financial markets. As stock indexes reached new highs,
stock valuations appeared driven more by investor interest than each company's
fundamental earnings. March marked a reversal of the differences between 'old'
economy and 'new' economy stocks as the technology laden indexes slumped and
many traditional indexes recovered lost ground.
The U.S. Federal Reserve, European Central Bank, Bank of England, Reserve
Bank of Australia, and Bank of Canada increased interest rates in early
February. The rate increases shared motivation of strong economic growth and
concerns about inflation. Despite rate hikes and news of robust worldwide
economic growth, global bond markets continued to rally partially due to
investors seeking refuge from volatile equity markets.
In the currency markets, the U.S. dollar advanced sharply in early 2000. The
dollar's advance had been driven by strong growth and soaring asset prices,
resulting in record levels of foreign capital coming into the United States.
Since its inception a year ago, the euro has declined more than 17% against the
U.S. dollar, 21% against the Japanese yen and 11% against the British pound. The
euro touched an all time low against the U.S. dollar at .9500 in March. The
currency's weakness has raised political problems for the European Central Bank
and contributed to the recent decision to hike interest rates without any clear
inflation threat. The Swiss franc had spent most of the last few months drifting
lower against the U.S. dollar, tracking the euro's trend. The Japanese yen
rallied sharply, gaining on the U.S. dollar and most other currencies in the
final months of Japan's fiscal year (which ended March 31st). This is attributed
to positive sentiment regarding Japan's economic recovery. Additionally,
uncertainty regarding the direction of U.S. equities prompted many market
participants to convert assets into yen.
Energy prices continued their climb throughout January and February and into
the first week of March. Crude oil futures prices rose above $33 a barrel, the
highest level for a front-month (the most liquid) contract since the Gulf War in
1991. The energy sector reached a high early in March just prior to OPEC's
agreement to increase production sufficiently to stabilize prices. Political
pressure by the United States, along with a desire among OPEC members to
maintain a crude oil price in the range of $22-$28 per barrel, prompted the
cartel to announce a production increase. The May contract closed below $27 a
barrel at quarter end.
Quarterly Partnership Performance
The following is a summary of performance for the major sectors in which the
Partnership traded:
Currencies (+): Japanese yen gained on the U.S. dollar and most other
currencies during the first quarter. Long yen positions against the U.S. dollar,
euro and British pound resulted in gains.
Interest rates (-): Global bond yields generally declined while inflationary
pressure continued to build and economies improved. The bond market rally led to
losses for short 30-year U.S. Treasury and Japanese government bond positions
throughout the quarter.
Metals (-): Losses in the metal sector resulted from short zinc positions
during a market rally and short exposure to gold as prices reversed upward in
February.
Stock indices (-): Extreme volatility in the world's financial markets led to
a lack of trending opportunities resulting in losses for S&P 500 and Nikkei
(Japan) stock index positions.
Energies (+): The energy markets significantly contributed to quarterly
performance. Crude oil's steady price rise reversed in March after OPEC agreed
to increase production. Short positions in heating and crude oil resulted in
gains.
Interest income is earned on the Partnership's investment in U.S. Treasury
bills and varies monthly according to interest rates as well as the effect of
trading performance and redemptions on the level of interest-bearing funds.
Interest income from U.S. Treasury bills decreased by approximately $15,000 for
the three months ended March 31, 2000 compared to the same period in 1999. The
decline in interest income was the result of fewer funds being invested in U.S.
Treasury bills principally due to weak trading performance since October 1999
and redemptions. The decline was partially offset by the impact of higher
interest rates during the three months ended March 31, 2000 versus the
corresponding period in 1999.
8
<PAGE>
Commissions paid to PSI are calculated on the Partnership's net asset value
on the first day of each month and, therefore, vary monthly according to trading
performance and redemptions. Commissions decreased by approximately $104,000 for
the three months ended March 31, 2000 as compared to the same period in 1999
principally due to the effect of weak trading performance since October 1999 and
redemptions on the monthly net asset values.
All trading decisions are currently being made by Welton Investment
Corporation, Eclipse Capital Management, Inc. ('Eclipse'), Trendlogic
Associates, Inc. and Gaiacorp Ireland Limited. Management fees are calculated on
the Partnership's net asset value allocated to each trading manager as of the
end of each month and, therefore, are affected by trading performance and
redemptions. Management fees decreased by approximately $30,000 for the three
months ended March 31, 2000 as compared to the same period in 1999 due to
fluctuations in monthly net asset values as described in the discussion on
commissions above.
Incentive fees are based on the New High Net Trading Profits generated by
each trading manager, as defined in each Advisory Agreement among the
Partnership, the General Partner and each trading manager. Despite overall
Partnership net trading losses during the three months ended March 31, 1999,
Eclipse generated sufficient trading profits to earn incentive fees of
approximately $25,000. No incentive fees were incurred by the Partnership during
the three months ended March 31, 2000.
General and administrative expenses decreased by approximately $5,000 for the
three months ended March 31, 2000 as compared to the same period in 1999. These
expenses include reimbursements of costs incurred by the General Partner on
behalf of the Partnership, in addition to accounting, audit, tax and legal fees
as well as printing and postage costs related to reports sent to limited
partners.
Year 2000 Risk
A discussion of Year 2000 risk and its effect on the operations of the
Partnership is included in the Partnership's annual report on Form 10-K filed
with the Securities and Exchange Commission for the year ended December 31,
1999.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
9
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the General Partner.
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other Information--None
Item 6. Exhibits and Reports on Form 8-K:
(a) Exhibits
4.1 Agreement of Limited Partnership of the Registrant, dated as
of June 8, 1989 as amended and restated as of July 21, 1989
(incorporated by reference to Exhibits 3.1 and 4.1 to the
Registrant's Annual Report on Form 10-K for the period ended
December 31, 1989)
4.2 Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Registrant's Registration Statement
on Form S-1, File No. 33-29039)
4.3 Request for Redemption (incorporated by
reference to Exhibit 4.3 to the Registrant's
Registration Statement on Form S-1, File No.
33-29039)
27 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--
No reports on Form 8-K were filed during the quarter.
10
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Prudential-Bache Capital Return Futures Fund 2, L.P.
By: Prudential Securities Futures Management Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: May 12, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
11
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for P-B Capital Return Futures
Fund 2, L.P. and is qualified in its entirety
by reference to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0000851786
<NAME> P-B Capital Return Futures Fund 2, L.P.
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-2000
<PERIOD-START> Jan-1-2000
<PERIOD-END> Mar-31-2000
<PERIOD-TYPE> 3-Mos
<CASH> 4,104,230
<SECURITIES> 14,187,105
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 18,291,335
<CURRENT-LIABILITIES> 2,360,287
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 15,931,048
<TOTAL-LIABILITY-AND-EQUITY> 18,291,335
<SALES> 0
<TOTAL-REVENUES> (312,979)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 503,467
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (816,446)
<EPS-BASIC> (9.89)
<EPS-DILUTED> 0
</TABLE>
